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Asset Allocation Considerations for Pension Insurance Funds

Theoretical Analysis and Empirical Evidence

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  • © 2013
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Overview

Authors:
  1. Christian Hertrich

    1. Fachbereich BWL, Universität Stuttgart, Stuttgart, Germany

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  • Publication in the field of economic studies

  • Includes supplementary material: sn.pub/extras

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Table of contents (6 chapters)

  1. Front Matter

    Pages I-XXX
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  2. Introduction

    • Christian Hertrich
    Pages 1-18
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  3. Insight into the German Pension Insurance Fund

    • Christian Hertrich
    Pages 19-77
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  4. SRIs and Alternative Investments: Expanding the Efficient Frontier?

    • Christian Hertrich
    Pages 78-158
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  5. Theoretical Foundation

    • Christian Hertrich
    Pages 159-211
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  6. Empirical Analysis

    • Christian Hertrich
    Pages 212-307
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  7. Conclusion, Criticism and Outlook

    • Christian Hertrich
    Pages 308-327
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  8. Back Matter

    Pages 329-382
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Keywords

About this book

​The central research objective of the dissertation is to assess the suitability of Social Responsible Investments (SRIs) as well as alternative investments for the strategic asset allocation of German Pension Insurance Funds (Pensionskassen). Using a Vector Error Correction model, we estimate the data generating process of the underlying input variables. A bootstrap simulation allows generating future return paths of the underlying portfolios. These return distributions will subsequently be used as input for different asset allocation strategies.The empirical results of our research study offer valuable conclusions: (1) SRI-structured portfolios consistently perform better than conventional portfolios, (2) including alternative investments has a beneficial effect on the risk-return distribution and (3) derivative overlay structures mitigate downside risk exposure without impacting average fund performance. In terms of alternative allocation models, (1) high-equity portfolios lead to an increase in return volatility without sufficiently compensating investors with higher returns, (2) hedging against price increases by engineering a portfolio with inflation-suitable assets yields mixed results, (3) a portfolio composition that combines derivative overlay strategies for both equities and corporate bonds and uses SRI-screened assets as underlying generates the best results.

Authors and Affiliations

  • Fachbereich BWL, Universität Stuttgart, Stuttgart, Germany

    Christian Hertrich

About the author

Dr. Christian Hertrich obtained his doctorate degree at the Department of Corporate Finance of the University of Stuttgart (Germany).

Bibliographic Information

  • Book Title: Asset Allocation Considerations for Pension Insurance Funds

  • Book Subtitle: Theoretical Analysis and Empirical Evidence

  • Authors: Christian Hertrich

  • DOI: https://doi.org/10.1007/978-3-658-02167-2

  • Publisher: Springer Gabler Wiesbaden

  • eBook Packages: Business and Economics, Economics and Finance (R0)

  • Copyright Information: Springer Fachmedien Wiesbaden 2013

  • Softcover ISBN: 978-3-658-02166-5Published: 24 April 2013

  • eBook ISBN: 978-3-658-02167-2Published: 16 April 2013

  • Edition Number: 1

  • Number of Pages: XXX, 382

  • Number of Illustrations: 72 b/w illustrations

  • Topics: Finance, general

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